About the Book
This two-volume set brings together some of the most significant articles by leading scholars in the field. The volumes investigate various aspects of financial forecasting including the forecasting of earnings, bankruptcy, stock prices, interest rates, exchange rates and risk. The articles within each section offer an overview of both statistical models and technical analysis in the subject area. The editors have written an authoritative new introduction to complement their selection.
Table of Contents:
Contents:
Volume I: Stock Market Forecasting
Acknowledgements
Foreword Richard Roll
Introduction Roy Batchelor and Pami Dua
PART I FORECASTING EARNINGS
1. Lawrence D. Brown (1993), ‘Earnings Forecasting Research: Its Implications for Capital Markets Research’
A Time Series Models
2. Lawrence D. Brown and Michael S. Rozeff (1979), ‘Univariate Time-Series Models of Quarterly Accounting Earnings per Share: A Proposed Model’
3. William Beaver, Richard Lambert and Dale Morse (1980), ‘The Information Content of Security Prices’
4. Jane A. Ou (1990), ‘The Information Content of Nonearnings Accounting Numbers as Earnings Predictors’
B Judgment and Behavior
5. Lawrence D. Brown, Robert L. Hagerman, Paul A. Griffin and Mark E. Zmijewski (1987), ‘Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings’
6. Werner F.M. De Bondt and Richard H. Thaler (1990), ‘Do Security Analysts Overreact?’
7. Gunter Löffler (1998), ‘Biases in Analyst Forecasts: Cognitive, Strategic or Second-best?’
8. Michael P. Keane and David E. Runkle (1998), ‘Are Financial Analysts’ Forecasts of Corporate Profits Rational?’
PART II FORECASTING BANKRUPTCY
9. Edward I. Altman (1968), ‘Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy’
10. Edward I. Altman, Giancarlo Marco and Franco Varetto (1994), ‘Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks (the Italian Experience)’
11. Kar Yan Tam and Melody Kiang (1990), ‘Predicting Bank Failures: A Neural Network Approach’
12. Halina Frydman, Edward I. Altman and Duen-Li Kao (1985), ‘Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress’
13. Michel Crouhy, Dan Galai and Robert Mark (2000), ‘A Comparative Analysis of Current Credit Risk Models’
PART III FORECASTING STOCK PRICES
14. Alfred Cowles (1944), ‘Stock Market Forecasting’
15. Elroy Dimson and Paul Marsh (1984), ‘An Analysis of Brokers’ and Analysts’ Unpublished Forecasts of UK Stock Returns’
16. David S. Bates (1991), ‘The Crash of ’87: Was it Expected? The Evidence from Options Markets’
A Statistical Models
17. Eugene F. Fama and Kenneth R. French (1989), ‘Business Conditions and Expected Returns on Stocks and Bonds’
18. M. Hashem Pesaran and Allan Timmermann (1994), ‘Forecasting Stock Returns: An Examination of Stock Market Trading in the Presence of Transaction Costs’
19. Min Qi and G.S. Maddala (1999), ‘Economic Factors and the Stock Market: A New Perspective’
20. Mark T. Leung, Hazem Daouk and An-Sing Chen (2000), ‘Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models’
B Technical Analysis
21. Sidney S. Alexander (1961), ‘Price Movements in Speculative Markets: Trends or Random Walks?’
22. William Brock, Josef Lakonishok and Blake LeBaron (1992), ‘Simple Technical Trading Rules and the Stochastic Properties of Stock Returns’
23. Stephen J. Brown, William N. Goetzmann and Alok Kumar (1998), ‘The Dow Theory: William Peter Hamilton’s Track Record Reconsidered’
Name Index
Volume II: Interest Rates, Exchange Rates and Volatility
Acknowledgements
An introduction by the editors to both volumes appears in Volume I
PART I FORECASTING INTEREST RATES
1. R.A. Kolb and H.O. Stekler (1996), ‘How Well Do Analysts Forecast Interest Rates?’
2. Gordon Leitch and J. Ernest Tanner (1991), ‘Economic Forecast Evaluation: Profits versus the Conventional Error Measures’
3. Tae H. Park and Lorne N. Switzer (1997), ‘Forecasting Interest Rates and Yield Spreads: The Informational Content of Implied Futures Yields and Best-fitting Forward Rate Models’
4. John T. Barkoulas and Christopher F. Baum (1997), ‘Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates’
5. Jun Woo Kim, H. Roland Weistroffer and Richard T. Redmond (1993), ‘Expert Systems for Bond Rating: A Comparative Analysis of Statistical, Rule-based and Neural Network Systems’
PART II FORECASTING EXCHANGE RATES
6. Richard A. Meese and Kenneth Rogoff (1983), ‘Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?’
7. Don Alexander and Lee R. Thomas, III (1987), ‘Monetary/Asset Models of Exchange Rate Determination: How Well Have They Performed in the 1980’s?’
8. Ronald MacDonald and Ian W. Marsh (1994), ‘Combining Exchange Rate Forecasts: What is the Optimal Consensus Measure?’
A Statistical Models
9. Nicholas Sarantis and Chris Stewart (1995), ‘Structural, VAR and BVAR Models of Exchange Rate Determination: A Comparison of Their Forecasting Performance’
10. Francis X. Diebold and James A. Nason (1990), ‘Nonparametric Exchange Rate Prediction?’
11. Chung-Ming Kuan and Tung Liu (1994), ‘Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks’
12. Christian C.P. Wolff (1987), ‘Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models’
13. Andrew Berg and Catherine Pattillo (1999), ‘Are Currency Crises Predictable? A Test’
B Technical Analysis
14. Christopher J. Neely (1997), ‘Technical Analysis in the Foreign Exchange Market: A Layman’s Guide’
15. Richard J. Sweeney (1986), ‘Beating the Foreign Exchange Market’
16. Richard M. Levich and Lee R. Thomas, III (1993), ‘The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach’
17. Carol Osler (2000), ‘Support for Resistance: Technical Analysis and Intraday Exchange Rates’
PART III FORECASTING RISK
18. Elroy Dimson and Paul Marsh (1990), ‘Volatility Forecasting Without Data-Snooping’
19. Timothy J. Brailsford and Robert W. Faff (1996), ‘An Evaluation of Volatility Forecasting Techniques’
20. Robert F. Engle, Che-Hsiung (Ted) Hong, Alex Kane and Jaesun Noh (1993), ‘Arbitrage Valuation of Variance Forecasts with Simulated Options’
A Statistical Models
21. Adrian R. Pagan and G. William Schwert (1990), ‘Alternative Models for Conditional Stock Volatility’
22. Stephen J. Taylor (1987), ‘Forecasting the Volatility of Currency Exchange Rates’
23. J. Danielsson and Casper G. de Vries (2000), ‘Value-at-Risk and Extreme Returns’
24. Robert F. Engle and Jeffrey R. Russell (1997), ‘Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model’
B Options-implied Volatility
25. Christopher G. Lamoureux and William D. Lastrapes (1993), ‘Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities’
26. Linda Canina and Stephen Figlewski (1993), ‘The Informational Content of Implied Volatility’
27. Xinzhong Xu and Stephen J. Taylor (1995), ‘Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market’
Name Index
About the Author :
Edited by Roy Batchelor, HSBC Professor of Banking and Finance, Cass Business School, City of London University, UK and Pami Dua, Professor of Economics, Delhi School of Economics, India
